While returning NotImplemented would be fine, raising it doesn't work and will cause a TypeError because NotImplemented is not an exception type.

NotImplemented signals to the runtime that it should ask someone else to satisfy the operation. In the expression a == b, if a.__eq__(b) returns NotImplemented, then Python tries b.__eq__(a). If b knows enough to return True or False, then the expression can succeed. If it doesn't, the runtime will fall back to the built-in behavior (based on identity for == and !=).

Bad practice

class MyClass:
    def __lt__(self, other):
        raise NotImplemented  # This will raise a TypeError, as NotImplemented cannot be raised

Recommended

If you want to disallow comparison with this class:

class MyClass:
    def __lt__(self, other):
        raise NotImplementedError  # Will raise the exception

class MyClass:
    def __lt__(self, other):
        return NotImplemented  # Will allow Python to figure out the value